Logo
Munich Personal RePEc Archive

OLS Estimator for a Mixed Regressive, Spatial Autoregressive Model: Extended Version

Mynbaev, Kairat (2009): OLS Estimator for a Mixed Regressive, Spatial Autoregressive Model: Extended Version.

[thumbnail of MPRA_paper_15153.pdf]
Preview
PDF
MPRA_paper_15153.pdf

Download (237kB) | Preview

Abstract

We find the asymptotic distribution of the OLS estimator of the parameters $% \beta$ and $\rho$ in the mixed spatial model with exogenous regressors $% Y_n=X_n\beta+\rho W_nY_n+V_n$. The exogenous regressors may be bounded or growing, like polynomial trends. The assumption about the spatial matrix $W_n $ is appropriate for the situation when each economic agent is influenced by many others. The error term is a short-memory linear process. The key finding is that in general the asymptotic distribution contains both linear and quadratic forms in standard normal variables and is not normal.

Commentary/Response Threads

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.